Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0998
Annualized Std Dev 0.1936
Annualized Sharpe (Rf=0%) 0.5157

Row

Daily Return Statistics

Close
Observations 4311.0000
NAs 1.0000
Minimum -0.1262
Quartile 1 -0.0043
Median 0.0009
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0059
Maximum 0.1194
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0001
Stdev 0.0122
Skewness -0.2923
Kurtosis 12.7694

Downside Risk

Close
Semi Deviation 0.0089
Gain Deviation 0.0086
Loss Deviation 0.0101
Downside Deviation (MAR=210%) 0.0134
Downside Deviation (Rf=0%) 0.0087
Downside Deviation (0%) 0.0087
Maximum Drawdown 0.5136
Historical VaR (95%) -0.0185
Historical ES (95%) -0.0301
Modified VaR (95%) -0.0175
Modified ES (95%) -0.0257
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2011-07-07 -0.5136 927 339 588
2020-02-20 2020-03-23 2020-06-09 -0.3178 77 23 54
2018-09-28 2018-12-24 2019-04-22 -0.2268 140 60 80
2011-07-08 2011-10-03 2012-02-03 -0.1871 146 61 85
2015-07-21 2016-02-11 2016-07-20 -0.1620 253 143 110

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA 0.6 0.2 0.4 -0.7 -1.2 0 0.5 1.5 0 1.2 -0.2 2.3
2005 0.4 0.3 -0.7 0.8 0.4 -0.1 0.2 -0.1 0.9 -0.4 1.4 -0.5 2.5
2006 0.4 1 -0.3 -0.3 1.1 0.1 -0.7 0.6 -0.2 -0.8 -0.5 -0.3 0
2007 0.5 -0.2 0 0.3 0.3 0.1 0.8 1 1 -1.7 0.2 -0.8 1.4
2008 1.5 -2.5 3.3 1.6 0.5 0.5 -0.9 -1.4 -1.7 1.6 -8 1.4 -4.5
2009 -2.1 -1.2 1.7 0.4 2.7 0.3 0 -1.7 -2.4 -2.4 1.3 -1.1 -4.6
2010 1.6 1.2 0.6 -1.8 -1.7 -0.1 0.2 2.9 0.2 0.2 2.1 -0.1 5.2
2011 1.4 -1.7 0.4 0.2 -2.2 1.5 -0.4 -0.9 -2.6 -2.5 0.2 -0.4 -6.9
2012 0.9 0.8 0.2 0.3 -2.8 2.8 -0.4 0.5 0.1 1.3 -0.1 1.9 5.6
2013 1 0.4 -0.6 -0.7 -1.3 0.8 1.3 -0.5 1 0.2 0.1 0.5 2.3
2014 -0.6 0.1 1.2 0.4 0.1 0.8 -0.3 0.2 -1.4 1.2 -1.2 -0.9 -0.4
2015 -1 -0.4 2.4 1.2 0.3 0.7 -0.1 -2.8 0.4 -0.3 0.9 -1 0.5
2016 0.2 2.8 0.8 -0.5 0.1 0.4 0.2 0.2 0.7 -0.8 -1.3 -0.5 2.4
2017 0.4 1.2 0 0.5 0.8 0.1 0.2 0.1 0.5 0 -0.3 -0.5 3
2018 -0.4 -1.3 1.6 0.7 1.2 0.1 0.3 0.1 0.2 1.6 0.7 1 5.8
2019 -0.1 0.9 1.1 -0.7 -1.4 1 -0.6 -0.3 -1 0.8 -0.4 0.2 -0.4
2020 -1.7 0 -4.5 -2.6 0.7 1.1 1.5 1.5 1.3 -2.1 1.1 0.2 -3.5
2021 2.4 2.7 0.2 NA NA NA NA NA NA NA NA NA 5.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-01-30  49.6 SPY    113.  0        -0.0083   0.0207   0.0789    0.344   -0.168  -0.0998 <NA>     NA    NA       NA
2 2004-02-02  49.6 SPY    114.  0.0043   -0.0164   0.0242   0.0813    0.324   -0.162  -0.0853 <NA>     NA    NA       NA
3 2004-02-03  49.9 SPY    114. -0.0017   -0.0078   0.0229   0.0805    0.320   -0.163  -0.102  <NA>     NA    NA       NA
4 2004-02-04  49.5 SPY    113. -0.0082   -0.0046   0.0036   0.0647    0.322   -0.174  -0.116  <NA>     NA    NA       NA
5 2004-02-05  49.5 SPY    113.  0.00290  -0.0026   0.0056   0.0702    0.334   -0.179  -0.108  <NA>     NA    NA       NA
6 2004-02-06  50.1 SPY    114.  0.0112    0.0085   0.0135   0.0813    0.355   -0.165  -0.0926 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart